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dynare/tests/kalman_filter_smoother
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Marco Ratto 5fa6265944 Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post 
Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
 		2021-05-27 16:59:15 +02:00
..
check_variable_dimensions Add test cases for moments with measurement errors 2020-06-29 13:21:08 +02:00
compare_results_simulation pass M_, options_, oo_ as arguments to stoch_simul, simult_, discretionary_policy. closes dynare#1197 2019-09-12 11:57:01 +02:00
SOE.mod missing_DiffuseKalmanSmootherH1_Z.m: fix bug with variable dimension 2020-04-02 19:22:55 +02:00
SOE_data_file.m missing_DiffuseKalmanSmootherH1_Z.m: fix bug with variable dimension 2020-04-02 19:22:55 +02:00
algo1.mod Add smoothed state uncertainty to Kalman smoother routines 2016-11-04 09:23:55 +01:00
algo2.mod Use cells of strings instead of char arrays. 2018-01-09 22:30:01 +01:00
algo3.mod Add smoothed state uncertainty to Kalman smoother routines 2016-11-04 09:23:55 +01:00
algo4.mod Use cells of strings instead of char arrays. 2018-01-09 22:30:01 +01:00
algo4a.mod Trigger computation of state uncertainty in unit test 2016-11-23 10:50:31 +01:00
algo4b.mod Add smoothed state uncertainty to Kalman smoother routines 2016-11-04 09:23:55 +01:00
algoH1.mod Add smoothed state uncertainty to Kalman smoother routines 2016-11-04 09:23:55 +01:00
algoH2.mod Use cells of strings instead of char arrays. 2018-01-09 22:30:01 +01:00
algoH3.mod Add smoothed state uncertainty to Kalman smoother routines 2016-11-04 09:23:55 +01:00
fs2000.mod Replace initval blocks by steady_state_model blocks in fs2000 unit tests 2015-06-07 17:11:39 +02:00
fs2000_1.mod Replace initval blocks by steady_state_model blocks in fs2000 unit tests 2015-06-07 17:11:39 +02:00
fs2000_2.mod Replace initval blocks by steady_state_model blocks in fs2000 unit tests 2015-06-07 17:11:39 +02:00
fs2000_smoother_only.mod datatomfile: Consistently replace char by cell arrays 2018-06-04 11:56:43 +02:00
fs2000_smoother_only_ns.mod datatomfile: Consistently replace char by cell arrays 2018-06-04 11:56:43 +02:00
fs2000_smoother_redux.mod Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post 2021-05-27 16:59:15 +02:00
fs2000a.mod Replace initval blocks by steady_state_model blocks in fs2000 unit tests 2015-06-07 17:11:39 +02:00
fsdat_simul.m adding new test 2011-11-02 20:54:58 +01:00
gen_data.mod fixing tests 2011-11-04 09:11:25 +01:00
test.mat v4 adding test for kalman filter and smoother 2007-02-11 13:02:29 +00:00
test_compute_Pinf_Pstar.mod Lowered threshold value for a test. 2017-03-16 15:51:11 +01:00
test_compute_Pinf_Pstar_data.mod diffuse_filter: add test for compute_Pinf_Pstar 2016-11-23 20:52:57 +01:00
testsmoother.m Convert files to Unix EOL 2012-06-08 19:10:19 +02:00